{"id":2614,"date":"2012-05-23T18:03:43","date_gmt":"2012-05-24T01:03:43","guid":{"rendered":"http:\/\/trendfindertrading.com\/blog\/?p=2614"},"modified":"2012-06-22T13:09:44","modified_gmt":"2012-06-22T20:09:44","slug":"new-systems-released-with-volatility-filtering","status":"publish","type":"post","link":"http:\/\/trendfindertrading.com\/blog\/new-systems-released-with-volatility-filtering\/","title":{"rendered":"New Systems Released with Volatility Filtering"},"content":{"rendered":"

The intraday systems perform best in markets with high volatility and\u00a0under-perform\u00a0during low volatility. \u00a0To better control drawdowns, I have created new systems that only trade during markets with higher volatility. \u00a0They use the VIX and\/or the average daily range to determine the volatility of the market. \u00a0They use varied measures to provide diversification (every system doesn’t use the exact same measure\/filter).<\/p>\n

To determine which existing systems to keep, I used an industry rule of thumb – if a system hasn’t exceeded 1.5 times its previous max historical drawdown then I kept that system. \u00a0Cougar II and Lion met this criteria. \u00a0I created new “Vol” versions for every system in addition to keeping Cougar II and Lion. \u00a0As an added simplification\/robustness alteration, the new systems do not automatically filter out any days (all the current systems filter out FOMC announcement days and most monthly options expiration days). \u00a0You may trade the discontinued systems if you wish, however I will not be posting their results on the website or blog going forward.<\/p>\n

Since these systems will be trading less frequently and could go weeks or even months without a trade, I will be reducing the lease fees. \u00a0Also, to simplify the fee structures and encourage people to take a long-term view when trading these systems, the payment options are now based on 3 months or 1 year. \u00a0See the leasing page for new pricing:\u00a0http:\/\/trendfindertrading.com\/leasing.html<\/a><\/p>\n

The performance data on the website has been updated. \u00a0Take a look at the Systems page<\/a> and\/or Portfolios page<\/a> for more info. \u00a0A summary of the comparison results is below (past performance is not necessarily indicative of future results):<\/p>\n

5 YEAR HYPOTHETICAL RESULTS – May 1, 2007 to April 30, 2012<\/strong><\/p>\n

($50 roundtrip for commission & slippage included, see Disclosures<\/a>)<\/p>\n\n\n\n\n<\/colgroup>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Original Systems<\/strong><\/td>\n<\/td>\n<\/td>\n<\/tr>\n
System<\/span><\/td>\n\u00a0Net Profit\u00a0<\/span><\/td>\n\u00a0Max DD\u00a0<\/span><\/td>\nProfit\/DD<\/span><\/td>\n<\/tr>\n
Cougar II<\/td>\n\u00a0$\u00a0\u00a0\u00a0 58,430<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 5,010<\/td>\n11.7<\/td>\n<\/tr>\n
Jaguar II<\/td>\n\u00a0$\u00a0\u00a0\u00a0 51,220<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 9,910<\/td>\n5.2<\/td>\n<\/tr>\n
Leopard II<\/td>\n\u00a0$\u00a0\u00a0\u00a0 49,550<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 7,580<\/td>\n6.5<\/td>\n<\/tr>\n
Lion<\/td>\n\u00a0$\u00a0\u00a0\u00a0 63,150<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 5,580<\/td>\n11.3<\/td>\n<\/tr>\n
Lion II<\/td>\n\u00a0$\u00a0\u00a0\u00a0 62,800<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 6,740<\/td>\n9.3<\/td>\n<\/tr>\n
Tiger<\/td>\n\u00a0$\u00a0\u00a0\u00a0 64,520<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 7,550<\/td>\n8.5<\/td>\n<\/tr>\n
Average<\/strong><\/td>\n\u00a0$\u00a0\u00a0\u00a0 58,278<\/strong><\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 7,062<\/strong><\/td>\n8.8<\/strong><\/td>\n<\/tr>\n
<\/td>\n<\/td>\n<\/td>\n<\/td>\n<\/tr>\n
New Volatility Filtered Systems<\/strong><\/td>\n<\/td>\n<\/tr>\n
System<\/span><\/td>\n\u00a0Net Profit\u00a0<\/span><\/td>\n\u00a0Max DD\u00a0<\/span><\/td>\nProfit\/DD<\/span><\/td>\n<\/tr>\n
Cougar Vol<\/td>\n\u00a0$\u00a0\u00a0\u00a0 59,130<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 4,140<\/td>\n14.3<\/td>\n<\/tr>\n
Jaguar Vol<\/td>\n\u00a0$\u00a0\u00a0\u00a0 54,410<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 3,550<\/td>\n15.3<\/td>\n<\/tr>\n
Leopard Vol<\/td>\n\u00a0$\u00a0\u00a0\u00a0 55,330<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 4,150<\/td>\n13.3<\/td>\n<\/tr>\n
Lion Vol<\/td>\n\u00a0$\u00a0\u00a0\u00a0 66,520<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 3,610<\/td>\n18.4<\/td>\n<\/tr>\n
Lion II Vol<\/td>\n\u00a0$\u00a0\u00a0\u00a0 70,530<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 3,570<\/td>\n19.8<\/td>\n<\/tr>\n
Tiger Vol<\/td>\n\u00a0$\u00a0\u00a0\u00a0 65,270<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 3,210<\/td>\n20.3<\/td>\n<\/tr>\n
Average<\/strong><\/td>\n\u00a0$\u00a0\u00a0\u00a0 61,865<\/strong><\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 3,705<\/strong><\/td>\n16.9<\/strong><\/td>\n<\/tr>\n
<\/td>\n<\/td>\n<\/td>\n<\/td>\n<\/tr>\n
Original Portfolios<\/strong><\/td>\n<\/td>\n<\/td>\n<\/tr>\n
Portfolio<\/span><\/td>\n\u00a0Net Profit\u00a0<\/span><\/td>\n\u00a0Max DD\u00a0<\/span><\/td>\nProfit\/DD<\/span><\/td>\n<\/tr>\n
Index Trader I<\/td>\n\u00a0$\u00a0 142,160<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 6,670<\/td>\n21.3<\/td>\n<\/tr>\n
Index Trader II<\/td>\n\u00a0$\u00a0 268,650<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 8,870<\/td>\n30.3<\/td>\n<\/tr>\n
Index Trader III<\/td>\n\u00a0$\u00a0 350,480<\/td>\n\u00a0$\u00a0\u00a0\u00a0 12,368<\/td>\n28.3<\/td>\n<\/tr>\n
Index Trader IV<\/td>\n\u00a0$\u00a0 469,453<\/td>\n\u00a0$\u00a0\u00a0\u00a0 18,710<\/td>\n25.1<\/td>\n<\/tr>\n
Index Trader V<\/td>\n\u00a0$\u00a0 574,073<\/td>\n\u00a0$\u00a0\u00a0\u00a0 27,743<\/td>\n20.7<\/td>\n<\/tr>\n
Wildcat I<\/td>\n\u00a0$\u00a0 121,230<\/td>\n\u00a0$\u00a0\u00a0\u00a0 10,950<\/td>\n11.1<\/td>\n<\/tr>\n
Wildcat II<\/td>\n\u00a0$\u00a0 170,780<\/td>\n\u00a0$\u00a0\u00a0\u00a0 18,530<\/td>\n9.2<\/td>\n<\/tr>\n
Wildcat III<\/td>\n\u00a0$\u00a0 233,930<\/td>\n\u00a0$\u00a0\u00a0\u00a0 23,350<\/td>\n10.0<\/td>\n<\/tr>\n
Wildcat IV<\/td>\n\u00a0$\u00a0 298,450<\/td>\n\u00a0$\u00a0\u00a0\u00a0 30,730<\/td>\n9.7<\/td>\n<\/tr>\n
Wildcat V<\/td>\n\u00a0$\u00a0 349,670<\/td>\n\u00a0$\u00a0\u00a0\u00a0 40,640<\/td>\n8.6<\/td>\n<\/tr>\n
Average<\/strong><\/td>\n\u00a0$ \u00a0297,888<\/strong><\/td>\n\u00a0$ \u00a0 \u00a019,856<\/strong><\/td>\n17.4<\/strong><\/td>\n<\/tr>\n
<\/td>\n<\/td>\n<\/td>\n<\/td>\n<\/tr>\n
New Portfolios<\/strong><\/td>\n<\/td>\n<\/td>\n<\/td>\n<\/tr>\n
Portfolio<\/span><\/td>\n\u00a0Net Profit\u00a0<\/span><\/td>\n\u00a0Max DD\u00a0<\/span><\/td>\nProfit\/DD<\/span><\/td>\n<\/tr>\n
Index Trader I<\/td>\n\u00a0$\u00a0 154,480<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 6,630<\/td>\n23.3<\/td>\n<\/tr>\n
Index Trader II<\/td>\n\u00a0$\u00a0 272,270<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 9,040<\/td>\n30.1<\/td>\n<\/tr>\n
Index Trader III<\/td>\n\u00a0$\u00a0 366,070<\/td>\n\u00a0$\u00a0\u00a0\u00a0 11,025<\/td>\n33.2<\/td>\n<\/tr>\n
Index Trader IV<\/td>\n\u00a0$\u00a0 486,773<\/td>\n\u00a0$\u00a0\u00a0\u00a0 15,048<\/td>\n32.3<\/td>\n<\/tr>\n
Index Trader V<\/td>\n\u00a0$\u00a0 593,513<\/td>\n\u00a0$\u00a0\u00a0\u00a0 19,090<\/td>\n31.1<\/td>\n<\/tr>\n
Wildcat I<\/td>\n\u00a0$\u00a0 125,860<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 5,890<\/td>\n21.4<\/td>\n<\/tr>\n
Wildcat II<\/td>\n\u00a0$\u00a0 180,270<\/td>\n\u00a0$\u00a0\u00a0\u00a0\u00a0 7,030<\/td>\n25.6<\/td>\n<\/tr>\n
Wildcat III<\/td>\n\u00a0$\u00a0 243,420<\/td>\n\u00a0$\u00a0\u00a0\u00a0 10,970<\/td>\n22.2<\/td>\n<\/tr>\n
Wildcat IV<\/td>\n\u00a0$\u00a0 308,690<\/td>\n\u00a0$\u00a0\u00a0\u00a0 13,770<\/td>\n22.4<\/td>\n<\/tr>\n
Wildcat V<\/td>\n\u00a0$\u00a0 367,820<\/td>\n\u00a0$\u00a0\u00a0\u00a0 14,460<\/td>\n25.4<\/td>\n<\/tr>\n
Average<\/strong><\/td>\n\u00a0$\u00a0 309,917<\/strong><\/td>\n\u00a0$\u00a0\u00a0\u00a0 11,295<\/strong><\/td>\n26.7<\/strong><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

 <\/p>\n

When I did testing for these new systems, I tested from January 1, 2004 up to as current as last Friday. \u00a0In most cases the new systems did not have a higher net profit than the original systems. \u00a0When running the past 5 year results for this blog, I was quite surprised to see the net profits be higher than the original systems for this time period (I kept checking to see if I had made a mistake somewhere). \u00a0It was a nice surprise but don’t expect this to always be the case! \u00a0I do expect future drawdowns for the new systems to be lower than the drawdowns of the current systems (and profit\/drawdown ratios to be higher) but do not expect the net profit to necessarily be higher.<\/p>\n

A note about curve-fitting\/over-fitting. \u00a0Some may look at these results and say “He just optimized for the best results and that is over-fitting. \u00a0These new systems won’t do as well going forward”. \u00a0If you had this thought good for you! \u00a0That is good thinking and that kind of thinking should help you tremendously in your investments. \u00a0I intentionally did not optimize for the best results. \u00a0What I did was create 4 different volatility filters and apply them to every system. \u00a0I never went back and changed any parameters – it was an out of sample test of these filters (with the exception of Jaguar Vol – I did do preliminary tests on Jaguar II when creating two of the filters). \u00a0To provide diversification I didn’t want to use the same filter for every system. \u00a0So, the one place where some curve-fitting comes into play is in picking the filter\/combination to use for each system. \u00a0For each system I either picked the filter that had the best result or used more than one filter to allow more trades and have a different filter than the other systems.<\/p>\n

My first concern is that your accounts are growing, and I think these new systems will support that better than the current ones.\u00a0 If you have any questions please feel free to contact me!<\/p>\n

Thanks,<\/p>\n

gary<\/p>\n","protected":false},"excerpt":{"rendered":"

The intraday systems perform best in markets with high volatility and\u00a0under-perform\u00a0during low volatility. \u00a0To better control drawdowns, I have created new systems that only trade during markets with higher volatility. \u00a0They use the VIX and\/or the average daily range to determine the volatility of the market. \u00a0They use varied measures to provide diversification (every system […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"sfsi_plus_gutenberg_text_before_share":"","sfsi_plus_gutenberg_show_text_before_share":"","sfsi_plus_gutenberg_icon_type":"","sfsi_plus_gutenberg_icon_alignemt":"","sfsi_plus_gutenburg_max_per_row":""},"categories":[4],"tags":[],"_links":{"self":[{"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/posts\/2614"}],"collection":[{"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/comments?post=2614"}],"version-history":[{"count":25,"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/posts\/2614\/revisions"}],"predecessor-version":[{"id":2708,"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/posts\/2614\/revisions\/2708"}],"wp:attachment":[{"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/media?parent=2614"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/categories?post=2614"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/trendfindertrading.com\/blog\/wp-json\/wp\/v2\/tags?post=2614"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}